High52 · Momentum · George and Hwang (2004)
52 week high
Long minus short quintile portfolio, value-weighted, market-adjusted. Quarterly, 1926Q3 to 2024Q4.
Expected return · posterior mean, % per quarter
Next quarter
1.60%
95% interval 0.85% to 2.33%
Next year
1.59%
95% interval 0.85% to 2.33%
Next five years
1.57%
95% interval 0.80% to 2.34%
The original paper used a sort or weighting that matches no uniform quintile or decile portfolio. Original paper: custom sort shows that series.
Cumulative market-adjusted return
+20,945% since 1926Q3 · log scale
Past performance, annualized
| Window | Mean | Vol. | Sharpe | t |
|---|---|---|---|---|
| 1926Q3–2024Q4 | 6.68% | 15.24% | 0.44 | 4.35 |
| 2020Q1–2024Q4 | 8.87% | 23.35% | 0.38 | 0.85 |
| 2024Q1–2024Q4 | 27.44% | 17.99% | 1.53 | 1.53 |
| 1926Q3–2024Q4 | 8.42% | 23.58% | 0.36 | 3.54 |
| 2020Q1–2024Q4 | 18.10% | 24.01% | 0.75 | 1.69 |
| 2024Q1–2024Q4 | 22.19% | 21.18% | 1.05 | 1.05 |
| 1926Q3–2024Q4 | 8.31% | 20.95% | 0.40 | 3.94 |
| 2020Q1–2024Q4 | 13.79% | 26.37% | 0.52 | 1.17 |
| 2024Q1–2024Q4 | 40.18% | 21.27% | 1.89 | 1.89 |
| 1926Q3–2024Q4 | 8.79% | 30.67% | 0.29 | 2.84 |
| 2020Q1–2024Q4 | 22.59% | 31.67% | 0.71 | 1.60 |
| 2024Q1–2024Q4 | 28.54% | 31.54% | 0.90 | 0.90 |
| 1926Q3–2024Q4 | 7.69% | 19.60% | 0.39 | 3.89 |
| 2020Q1–2024Q4 | 14.26% | 18.79% | 0.76 | 1.70 |
| 2024Q1–2024Q4 | 19.31% | 16.80% | 1.15 | 1.15 |
Forecast Sharpe ratio, per quarter
| Horizon | Mean | 95% interval | P(neg) |
|---|---|---|---|
| Next quarter | 0.209 | 0.112 – 0.307 | 0.00 |
| Next year | 0.209 | 0.111 – 0.307 | 0.00 |
| Next five years | 0.206 | 0.105 – 0.307 | 0.00 |
| Next quarter | 0.212 | 0.089 – 0.337 | 0.00 |
| Next year | 0.203 | 0.087 – 0.323 | 0.00 |
| Next five years | 0.177 | 0.066 – 0.293 | 0.00 |
| Next quarter | 0.194 | 0.095 – 0.295 | 0.00 |
| Next year | 0.192 | 0.094 – 0.293 | 0.00 |
| Next five years | 0.187 | 0.086 – 0.289 | 0.00 |
| Next quarter | 0.160 | 0.043 – 0.289 | 0.00 |
| Next year | 0.155 | 0.044 – 0.276 | 0.00 |
| Next five years | 0.141 | 0.038 – 0.249 | 0.00 |
| Next quarter | 0.236 | 0.117 – 0.349 | 0.00 |
| Next year | 0.225 | 0.112 – 0.338 | 0.00 |
| Next five years | 0.194 | 0.079 – 0.312 | 0.00 |